Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0273
Annualized Std Dev 0.2810
Annualized Sharpe (Rf=0%) 0.0972

Row

Daily Return Statistics

Close
Observations 3728.0000
NAs 1.0000
Minimum -0.1413
Quartile 1 -0.0059
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0070
Maximum 0.1911
SE Mean 0.0003
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0008
Variance 0.0003
Stdev 0.0177
Skewness 0.0348
Kurtosis 13.5894

Downside Risk

Close
Semi Deviation 0.0127
Gain Deviation 0.0135
Loss Deviation 0.0146
Downside Deviation (MAR=210%) 0.0170
Downside Deviation (Rf=0%) 0.0126
Downside Deviation (0%) 0.0126
Maximum Drawdown 0.7802
Historical VaR (95%) -0.0251
Historical ES (95%) -0.0443
Modified VaR (95%) -0.0238
Modified ES (95%) -0.0238
From Trough To Depth Length To Trough Recovery
2007-05-23 2009-03-09 2016-11-21 -0.7802 2394 452 1942
2020-02-12 2020-03-23 2021-03-12 -0.4496 273 28 245
2018-01-29 2018-12-24 2019-06-05 -0.2199 340 229 111
2017-08-03 2017-09-07 2017-10-16 -0.0855 52 25 27
2019-07-15 2019-08-23 2020-01-17 -0.0709 131 30 101

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA 0.4 1.1 -0.6 0.3 -0.4 -0.5 -1 -0.7 -1.3
2007 0.7 -0.1 0 -0.6 0.2 -0.6 0.5 1.2 1.7 -3 1.5 0 1.4
2008 1.9 -3.5 4 2.4 -0.3 -0.2 1.1 -0.3 -2.3 4.1 -9.8 2.3 -1.5
2009 -4 -5.9 2.5 -1.1 3.5 1 1.3 -4.7 -3.4 -4.2 0.2 -0.9 -15.2
2010 0.5 1 0.8 -1.9 -2.5 -0.6 0 3.8 -0.4 0.2 2.2 0 3.1
2011 2 -1.4 0.9 -0.1 -2.6 1.1 -0.9 -1.6 1.2 -5.1 -1.2 -0.1 -7.6
2012 2.1 0.6 0.6 1.2 -3.3 2.4 -0.6 0.4 0.5 0.2 0 1.4 5.6
2013 1.7 -0.2 -0.6 -0.9 -1.4 1 2.8 -0.7 0.6 -0.9 0.1 0.4 1.8
2014 -1.1 0.8 0.4 0.2 -0.2 1.2 -0.4 0.4 -1.3 1.1 -0.8 -1.2 -1
2015 -1.5 0 -0.4 1.2 -0.3 2.3 -0.6 -2.8 -0.2 -1 0.9 -1 -3.4
2016 0 2.9 1.2 -0.1 0.1 0.1 -0.4 -0.4 0.8 -0.9 0.9 -0.1 4
2017 -0.2 2.1 0 0.2 1.2 -0.1 0.4 0.2 0.2 0.3 -0.1 -0.2 4
2018 0.5 -2 -0.1 -0.5 0.6 0 -0.3 -0.1 -0.6 0.2 -0.8 0.9 -2
2019 0.6 0.4 1.7 -0.9 -1 1.4 -2.2 0.2 -2 0.4 -0.4 0.3 -1.6
2020 -1.6 -4.2 -5.9 -4.5 0.6 -2.1 0.3 -0.1 -0.1 -0.6 2.3 0.9 -14.4
2021 1 2.3 -1.9 NA NA NA NA NA NA NA NA NA 1.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-05-05  50.2 SPY    133.  0.0088    0.008    0.0115   0.0495   0.128     0.411   0.0609 GLD    68.0  0.0076   0.0446
2 2006-05-08  50.2 SPY    132. -0.00120   0.015    0.0114   0.0455   0.130     0.417   0.0418 GLD    67.6 -0.0063   0.0368
3 2006-05-09  50.2 SPY    133.  0.002     0.0094   0.0238   0.0569   0.126     0.434   0.0457 GLD    69.7  0.0314   0.047 
4 2006-05-11  49.8 SPY    131. -0.0121   -0.0031   0.018    0.0359   0.117     0.380   0.0283 GLD    71.0  0.0092   0.0526
5 2006-05-16  49.7 SPY    129. -0.0015   -0.025    0.0051   0.0122   0.107     0.360   0.0291 GLD    68.6  0.0178  -0.0154
6 2006-05-17  49.0 SPY    127. -0.019    -0.043   -0.0295  -0.0105   0.0788    0.337   0.0066 GLD    68.2 -0.0067  -0.0317
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart